Hello,
DMZ can only be configured to accept connections from the WAN zone at the moment. Instead, you can set up port forwarding from OpenVPN to a LAN device.
Navigate to Network → Firewall → Port Forwards, and create a rule that looks like so:
This way, all of the traffic from the OpenVPN tunnel will be forwarded to the LAN client with the specified IP address (in my case, 192.168.11.182).
Hope this helps!
Best regards,
DaumantasG